Lines Matching refs:qp
10 static PetscErrorCode QPIPComputeResidual(TAO_BQPIP *qp, Tao tao)
12 PetscReal dtmp = 1.0 - qp->psteplength;
17 PetscCall(VecScale(qp->R3, dtmp));
18 PetscCall(VecScale(qp->R5, dtmp));
19 qp->pinfeas = dtmp * qp->pinfeas;
21 PetscCall(VecCopy(qp->S, tao->gradient));
22 PetscCall(VecAXPY(tao->gradient, -1.0, qp->Z));
24 PetscCall(MatMult(tao->hessian, tao->solution, qp->RHS));
25 PetscCall(VecScale(qp->RHS, -1.0));
26 PetscCall(VecAXPY(qp->RHS, -1.0, qp->C));
27 PetscCall(VecAXPY(tao->gradient, -1.0, qp->RHS));
29 PetscCall(VecNorm(tao->gradient, NORM_1, &qp->dinfeas));
30 qp->rnorm = (qp->dinfeas + qp->pinfeas) / (qp->m + qp->n);
34 static PetscErrorCode QPIPSetInitialPoint(TAO_BQPIP *qp, Tao tao)
42 PetscCall(VecCopy(qp->C, qp->Work));
43 PetscCall(VecAXPY(qp->Work, 0.5, tao->gradient));
44 PetscCall(VecAXPY(tao->gradient, 1.0, qp->C));
45 PetscCall(VecDot(tao->solution, qp->Work, &fff));
46 qp->pobj = fff + qp->d;
48 PetscCheck(!PetscIsInfOrNanReal(qp->pobj), PETSC_COMM_SELF, PETSC_ERR_USER, "User provided data contains infinity or NaN");
52 PetscCall(VecCopy(qp->XU, qp->T));
53 PetscCall(VecAXPY(qp->T, -1.0, tao->solution));
54 PetscCall(VecCopy(tao->solution, qp->G));
55 PetscCall(VecAXPY(qp->G, -1.0, qp->XL));
57 PetscCall(VecSet(qp->GZwork, p01));
58 PetscCall(VecSet(qp->TSwork, p01));
60 PetscCall(VecPointwiseMax(qp->G, qp->G, qp->GZwork));
61 PetscCall(VecPointwiseMax(qp->T, qp->T, qp->TSwork));
64 PetscCall(VecCopy(qp->G, qp->Z));
65 PetscCall(VecReciprocal(qp->Z));
67 PetscCall(VecCopy(qp->T, qp->S));
68 PetscCall(VecReciprocal(qp->S));
70 PetscCall(MatMult(tao->hessian, qp->Work, qp->RHS));
71 PetscCall(VecAbs(qp->RHS));
72 PetscCall(VecSet(qp->Work, p01));
73 PetscCall(VecPointwiseMax(qp->RHS, qp->RHS, qp->Work));
75 PetscCall(VecPointwiseDivide(qp->RHS, tao->gradient, qp->RHS));
76 PetscCall(VecNorm(qp->RHS, NORM_1, &gap1));
77 mu = PetscMin(10.0, (gap1 + 10.0) / qp->m);
79 PetscCall(VecScale(qp->S, mu));
80 PetscCall(VecScale(qp->Z, mu));
82 PetscCall(VecSet(qp->TSwork, p01));
83 PetscCall(VecSet(qp->GZwork, p01));
84 PetscCall(VecPointwiseMax(qp->S, qp->S, qp->TSwork));
85 PetscCall(VecPointwiseMax(qp->Z, qp->Z, qp->GZwork));
87 qp->mu = 0;
88 qp->dinfeas = 1.0;
89 qp->pinfeas = 1.0;
90 while ((qp->dinfeas + qp->pinfeas) / (qp->m + qp->n) >= qp->mu) {
91 PetscCall(VecScale(qp->G, two));
92 PetscCall(VecScale(qp->Z, two));
93 PetscCall(VecScale(qp->S, two));
94 PetscCall(VecScale(qp->T, two));
96 PetscCall(QPIPComputeResidual(qp, tao));
98 PetscCall(VecCopy(tao->solution, qp->R3));
99 PetscCall(VecAXPY(qp->R3, -1.0, qp->G));
100 PetscCall(VecAXPY(qp->R3, -1.0, qp->XL));
102 PetscCall(VecCopy(tao->solution, qp->R5));
103 PetscCall(VecAXPY(qp->R5, 1.0, qp->T));
104 PetscCall(VecAXPY(qp->R5, -1.0, qp->XU));
106 PetscCall(VecNorm(qp->R3, NORM_INFINITY, &gap1));
107 PetscCall(VecNorm(qp->R5, NORM_INFINITY, &gap2));
108 qp->pinfeas = PetscMax(gap1, gap2);
111 PetscCall(VecDot(qp->G, qp->Z, &gap1));
112 PetscCall(VecDot(qp->T, qp->S, &gap2));
114 qp->gap = gap1 + gap2;
115 qp->dobj = qp->pobj - qp->gap;
116 if (qp->m > 0) {
117 qp->mu = qp->gap / (qp->m);
119 qp->mu = 0.0;
121 qp->rgap = qp->gap / (PetscAbsReal(qp->dobj) + PetscAbsReal(qp->pobj) + 1.0);
126 static PetscErrorCode QPIPStepLength(TAO_BQPIP *qp)
132 PetscCall(VecStepMax(qp->G, qp->DG, &tstep1));
133 PetscCall(VecStepMax(qp->T, qp->DT, &tstep2));
134 PetscCall(VecStepMax(qp->S, qp->DS, &tstep3));
135 PetscCall(VecStepMax(qp->Z, qp->DZ, &tstep4));
138 qp->psteplength = PetscMin(0.95 * tstep, 1.0);
141 qp->dsteplength = PetscMin(0.95 * tstep, 1.0);
143 qp->psteplength = PetscMin(qp->psteplength, qp->dsteplength);
144 qp->dsteplength = qp->psteplength;
148 static PetscErrorCode QPIPComputeNormFromCentralPath(TAO_BQPIP *qp, PetscReal *norm)
153 PetscCall(VecPointwiseMult(qp->GZwork, qp->G, qp->Z));
154 PetscCall(VecPointwiseMult(qp->TSwork, qp->T, qp->S));
155 PetscCall(VecNorm(qp->TSwork, NORM_1, &mu[0]));
156 PetscCall(VecNorm(qp->GZwork, NORM_1, &mu[1]));
158 nmu = -(mu[0] + mu[1]) / qp->m;
160 PetscCall(VecShift(qp->GZwork, nmu));
161 PetscCall(VecShift(qp->TSwork, nmu));
163 PetscCall(VecNorm(qp->GZwork, NORM_2, &gap[0]));
164 PetscCall(VecNorm(qp->TSwork, NORM_2, &gap[1]));
168 qp->pathnorm = PetscSqrtScalar(gap[0] + gap[1]);
169 *norm = qp->pathnorm;
173 static PetscErrorCode QPIPComputeStepDirection(TAO_BQPIP *qp, Tao tao)
177 PetscCall(VecCopy(tao->stepdirection, qp->DG));
178 PetscCall(VecAXPY(qp->DG, 1.0, qp->R3));
181 PetscCall(VecCopy(tao->stepdirection, qp->DT));
182 PetscCall(VecScale(qp->DT, -1.0));
183 PetscCall(VecAXPY(qp->DT, -1.0, qp->R5));
186 PetscCall(VecAXPY(qp->DZ, -1.0, qp->Z));
187 PetscCall(VecPointwiseDivide(qp->GZwork, qp->DG, qp->G));
188 PetscCall(VecPointwiseMult(qp->GZwork, qp->GZwork, qp->Z));
189 PetscCall(VecAXPY(qp->DZ, -1.0, qp->GZwork));
192 PetscCall(VecAXPY(qp->DS, -1.0, qp->S));
193 PetscCall(VecPointwiseDivide(qp->TSwork, qp->DT, qp->T));
194 PetscCall(VecPointwiseMult(qp->TSwork, qp->TSwork, qp->S));
195 PetscCall(VecAXPY(qp->DS, -1.0, qp->TSwork));
201 TAO_BQPIP *qp = (TAO_BQPIP *)tao->data;
205 PetscCall(VecGetSize(tao->solution, &qp->n));
211 PetscCall(VecDuplicate(tao->solution, &qp->Work));
212 PetscCall(VecDuplicate(tao->solution, &qp->XU));
213 PetscCall(VecDuplicate(tao->solution, &qp->XL));
214 PetscCall(VecDuplicate(tao->solution, &qp->HDiag));
215 PetscCall(VecDuplicate(tao->solution, &qp->DiagAxpy));
216 PetscCall(VecDuplicate(tao->solution, &qp->RHS));
217 PetscCall(VecDuplicate(tao->solution, &qp->RHS2));
218 PetscCall(VecDuplicate(tao->solution, &qp->C));
220 PetscCall(VecDuplicate(tao->solution, &qp->G));
221 PetscCall(VecDuplicate(tao->solution, &qp->DG));
222 PetscCall(VecDuplicate(tao->solution, &qp->S));
223 PetscCall(VecDuplicate(tao->solution, &qp->Z));
224 PetscCall(VecDuplicate(tao->solution, &qp->DZ));
225 PetscCall(VecDuplicate(tao->solution, &qp->GZwork));
226 PetscCall(VecDuplicate(tao->solution, &qp->R3));
228 PetscCall(VecDuplicate(tao->solution, &qp->T));
229 PetscCall(VecDuplicate(tao->solution, &qp->DT));
230 PetscCall(VecDuplicate(tao->solution, &qp->DS));
231 PetscCall(VecDuplicate(tao->solution, &qp->TSwork));
232 PetscCall(VecDuplicate(tao->solution, &qp->R5));
233 qp->m = 2 * qp->n;
239 TAO_BQPIP *qp = (TAO_BQPIP *)tao->data;
247 qp->dobj = 0.0;
248 qp->pobj = 1.0;
249 qp->gap = 10.0;
250 qp->rgap = 1.0;
251 qp->mu = 1.0;
252 qp->dinfeas = 1.0;
253 qp->psteplength = 0.0;
254 qp->dsteplength = 0.0;
267 PetscCall(VecSet(qp->XU, 1.0e20));
268 PetscCall(VecSet(qp->XL, -1.0e20));
269 if (tao->XL) PetscCall(VecPointwiseMax(qp->XL, qp->XL, tao->XL));
270 if (tao->XU) PetscCall(VecPointwiseMin(qp->XU, qp->XU, tao->XU));
271 PetscCall(VecMedian(qp->XL, tao->solution, qp->XU, tao->solution));
276 PetscCall(VecSet(qp->Work, 0));
277 PetscCall(TaoComputeObjectiveAndGradient(tao, qp->Work, &qp->d, qp->C));
278 PetscCall(TaoComputeHessian(tao, qp->Work, tao->hessian, tao->hessian_pre));
280 if (getdiagop) PetscCall(MatGetDiagonal(tao->hessian, qp->HDiag));
283 PetscCall(QPIPSetInitialPoint(qp, tao));
284 PetscCall(QPIPComputeResidual(qp, tao));
290 gnorm = PetscSqrtScalar(qp->gap + qp->dinfeas);
291 PetscCall(TaoLogConvergenceHistory(tao, qp->pobj, gnorm, qp->pinfeas, tao->ksp_its));
292 PetscCall(TaoMonitor(tao, tao->niter, qp->pobj, gnorm, qp->pinfeas, step));
305 PetscCall(QPIPComputeNormFromCentralPath(qp, &d1));
307 PetscCall(VecSet(qp->DZ, 0.0));
308 PetscCall(VecSet(qp->DS, 0.0));
314 PetscCall(VecPointwiseDivide(qp->DiagAxpy, qp->Z, qp->G));
315 PetscCall(VecPointwiseMult(qp->GZwork, qp->DiagAxpy, qp->R3));
316 PetscCall(VecAXPY(qp->RHS, -1.0, qp->GZwork));
318 PetscCall(VecPointwiseDivide(qp->TSwork, qp->S, qp->T));
319 PetscCall(VecAXPY(qp->DiagAxpy, 1.0, qp->TSwork));
320 PetscCall(VecPointwiseMult(qp->TSwork, qp->TSwork, qp->R5));
321 PetscCall(VecAXPY(qp->RHS, -1.0, qp->TSwork));
324 ksptol = qp->mu / 10.0;
326 PetscCall(KSPSetTolerances(tao->ksp, ksptol, 1e-30, 1e30, PetscMax(10, qp->n)));
329 PetscCall(MatDiagonalSet(tao->hessian, qp->DiagAxpy, ADD_VALUES));
331 PetscCall(VecCopy(qp->DiagAxpy, qp->HDiag));
332 PetscCall(VecScale(qp->HDiag, -1.0));
338 PetscCall(KSPSolve(tao->ksp, qp->RHS, tao->stepdirection));
345 PetscCall(MatDiagonalSet(tao->hessian, qp->HDiag, INSERT_VALUES));
347 PetscCall(MatDiagonalSet(tao->hessian, qp->HDiag, ADD_VALUES));
351 PetscCall(QPIPComputeStepDirection(qp, tao));
352 PetscCall(QPIPStepLength(qp));
355 PetscCall(MatMult(tao->hessian, tao->stepdirection, qp->RHS2));
356 PetscCall(VecAXPY(qp->RHS2, 1.0, qp->DS));
357 PetscCall(VecAXPY(qp->RHS2, -1.0, qp->DZ));
358 PetscCall(VecAYPX(qp->RHS2, qp->dsteplength, tao->gradient));
360 PetscCall(VecNorm(qp->RHS2, NORM_2, &qp->dinfeas));
361 PetscCall(VecDot(qp->DZ, qp->DG, gap));
362 PetscCall(VecDot(qp->DS, qp->DT, gap + 1));
364 qp->rnorm = (qp->dinfeas + qp->psteplength * qp->pinfeas) / (qp->m + qp->n);
365 pstep = qp->psteplength;
366 step = PetscMin(qp->psteplength, qp->dsteplength);
367 sigmamu = (pstep * pstep * (gap[0] + gap[1]) + (1 - pstep) * qp->gap) / qp->m;
369 if (qp->predcorr && step < 0.9) {
370 if (sigmamu < qp->mu) {
371 sigmamu = sigmamu / qp->mu;
376 sigmamu = sigmamu * qp->mu;
379 PetscCall(VecPointwiseMult(qp->DZ, qp->DG, qp->DZ));
380 PetscCall(VecScale(qp->DZ, -1.0));
381 PetscCall(VecShift(qp->DZ, sigmamu));
382 PetscCall(VecPointwiseDivide(qp->DZ, qp->DZ, qp->G));
384 PetscCall(VecPointwiseMult(qp->DS, qp->DS, qp->DT));
385 PetscCall(VecScale(qp->DS, -1.0));
386 PetscCall(VecShift(qp->DS, sigmamu));
387 PetscCall(VecPointwiseDivide(qp->DS, qp->DS, qp->T));
389 PetscCall(VecCopy(qp->DZ, qp->RHS2));
390 PetscCall(VecAXPY(qp->RHS2, -1.0, qp->DS));
391 PetscCall(VecAXPY(qp->RHS2, 1.0, qp->RHS));
394 PetscCall(MatDiagonalSet(tao->hessian, qp->DiagAxpy, ADD_VALUES));
396 PetscCall(VecCopy(qp->DiagAxpy, qp->HDiag));
397 PetscCall(VecScale(qp->HDiag, -1.0));
403 PetscCall(KSPSolve(tao->ksp, qp->RHS2, tao->stepdirection));
409 PetscCall(MatDiagonalSet(tao->hessian, qp->HDiag, INSERT_VALUES));
411 PetscCall(MatDiagonalSet(tao->hessian, qp->HDiag, ADD_VALUES));
415 PetscCall(QPIPComputeStepDirection(qp, tao));
416 PetscCall(QPIPStepLength(qp));
420 dstep = qp->dsteplength;
422 PetscCall(VecAXPY(qp->Z, dstep, qp->DZ));
423 PetscCall(VecAXPY(qp->S, dstep, qp->DS));
425 PetscCall(VecAXPY(qp->G, dstep, qp->DG));
426 PetscCall(VecAXPY(qp->T, dstep, qp->DT));
429 PetscCall(QPIPComputeResidual(qp, tao));
432 PetscCall(MatMult(tao->hessian, tao->solution, qp->Work));
434 PetscCall(VecDot(tao->solution, qp->Work, &d1));
435 PetscCall(VecDot(tao->solution, qp->C, &d2));
436 PetscCall(VecDot(qp->G, qp->Z, gap));
437 PetscCall(VecDot(qp->T, qp->S, gap + 1));
440 qp->pobj = d1 / 2.0 + d2 + qp->d;
441 qp->gap = gap[0] + gap[1];
442 qp->dobj = qp->pobj - qp->gap;
443 if (qp->m > 0) qp->mu = qp->gap / (qp->m);
444 qp->rgap = qp->gap / (PetscAbsReal(qp->dobj) + PetscAbsReal(qp->pobj) + 1.0);
457 TAO_BQPIP *qp = (TAO_BQPIP *)tao->data;
461 PetscCall(PetscOptionsInt("-tao_bqpip_predcorr", "Use a predictor-corrector method", "", qp->predcorr, &qp->predcorr, NULL));
469 TAO_BQPIP *qp = (TAO_BQPIP *)tao->data;
473 PetscCall(VecDestroy(&qp->G));
474 PetscCall(VecDestroy(&qp->DG));
475 PetscCall(VecDestroy(&qp->Z));
476 PetscCall(VecDestroy(&qp->DZ));
477 PetscCall(VecDestroy(&qp->GZwork));
478 PetscCall(VecDestroy(&qp->R3));
479 PetscCall(VecDestroy(&qp->S));
480 PetscCall(VecDestroy(&qp->DS));
481 PetscCall(VecDestroy(&qp->T));
483 PetscCall(VecDestroy(&qp->DT));
484 PetscCall(VecDestroy(&qp->TSwork));
485 PetscCall(VecDestroy(&qp->R5));
486 PetscCall(VecDestroy(&qp->HDiag));
487 PetscCall(VecDestroy(&qp->Work));
488 PetscCall(VecDestroy(&qp->XL));
489 PetscCall(VecDestroy(&qp->XU));
490 PetscCall(VecDestroy(&qp->DiagAxpy));
491 PetscCall(VecDestroy(&qp->RHS));
492 PetscCall(VecDestroy(&qp->RHS2));
493 PetscCall(VecDestroy(&qp->C));
502 TAO_BQPIP *qp = (TAO_BQPIP *)tao->data;
505 PetscCall(VecCopy(qp->Z, DXL));
506 PetscCall(VecCopy(qp->S, DXU));
527 TAO_BQPIP *qp;
530 PetscCall(PetscNew(&qp));
546 qp->n = 0;
547 qp->m = 0;
549 qp->predcorr = 1;
550 tao->data = (void *)qp;
556 PetscCall(KSPSetTolerances(tao->ksp, 1e-14, 1e-30, 1e30, PetscMax(10, qp->n)));